A lot of stuff is indeed saved over modes. It just has to be the "right stuff".
In a pocket world I created mainly for adventuring (but with 3 fortresses made that were abandoned after one year having opened HFS), talking to citizens of various cities with my adventurer would report interesting facts that I didn't think they would know (news travels fast).
SPOILERS:
Most of it are death/kill records - citizens would name dozens of dwarves a modded bronze colossus slew both in adventure and fortress mode. Citizens would also speak of HFS being released by careless miners and their kills/deaths.
Legends isn't very interesting right now (will be more after the first Army Arc release) and besides world gen (birth, marriage, induction to guard/temple, death) info only lists birth, kills, and death of your adventurer.
Also, the gear does stay on the city grounds, but is scattered as mentioned before. So returning to an area where you dropped stuff does work sometimes if you return immediately with an adventurer/fortress, but eventually it'll be scattered all over the map. IE, if you die with an adventurer somewhere you can return with the next adventurer and find the corpse/items where you died, but eventually the stuff will be scattered around after a few adventurers and the bodies rots. Same applies if you drop items.
EDIT - I've heard that rarely you will find items a kobold stole from your fortress or items you traded to traders lying around, but I have not witnessed any of that myself yet.